Predictive Gamma: July 2026
The Predictive Gamma strategy returned +1.64% in July — a solid absolute result — but trailed the always-on straddle benchmark by 188 basis points as an unusually high proportion of →
Theo Paraskevopoulos
Systematic Surface Capture: July 2026
The Systematic Surface Capture strategy returned +0.79% in July, outperforming the benchmark by 76 basis points as both axes of the strategy contributed in a month where the S& →
Diagonal Volatility Carry: July 2026
The Diagonal Volatility Carry strategy returned +0.11% in July, outperforming a near-flat benchmark by 7 basis points in a month that offered an attractive variance risk premium but →
Defensive Premium Harvest: July 2026
The Defensive Premium Harvest strategy delivered a strong July, returning +1.17% against a near-flat S&P 500 and outperforming the benchmark by 113 basis points as a →
Market update: July 2026
The single most significant driver of July 2026 was the renewed US-Iran military escalation, which sent oil surging roughly 24% to close near $92/bbl, its strongest monthly gain →
Predictive Gamma: August 2026
The Predictive Gamma strategy returned +1.30% in August against a benchmark return of just +0.14%, delivering +1.16% of outperformance as the ML classifier captured the month' →
Systematic Surface Capture: August 2026
The Systematic Surface Capture strategy returned +3.39% in August, outperforming the S&P 500 by +0.71% as both axes of the volatility-surface approach — the short call →
Diagonal Volatility Carry: August 2026
The Diagonal Volatility Carry strategy returned +3.39% in August, outperforming the S&P 500 by +0.71% as the VIX near multi-year lows allowed the net-short →
Defensive Premium Harvest: August 2026
The Defensive Premium Harvest strategy returned +2.57% in August, tracking the S&P 500's +2.68% gain to within –0.11% as a sustained, low-volatility →
Market update: August 2026
The dominant driver of August 2026 was Fed Chair Kevin Warsh's Jackson Hole address on 29 August, which reaffirmed the 2% inflation target, pushed September rate-hike probabilities →